ABSTRACT

This paper classifies Algorithmic Traders (ATs) as Proprietary Algorithmic Traders (PATs) and Buy-side Algorithmic Traders (BATs) and examines their dynamic relationship with market quality, using data from the National Stock Exchange (NSE), India. We find that the two categories of traders cause a differential impact on market quality measures and vice versa. BATs’ order placement improves liquidity by narrowing the quoted spread, while PATs’ and BATs’ cancellation worsens liquidity by widening the quoted spread. PATs’ order placement increases the price impact but reduces the realized spread, whereas their cancellation increases the realized spread. Furthermore, when the quoted spread increases, ATs increase their order placement and cancellation. When the realized spread increases, PATs cancel less of their orders. Contrarily, when the price impact increases, PATs’ participation (both order placement and cancellation) and BATs’ cancellation increase. Besides, we provide new evidence that among the ATs, order placement of BATs crowds out that of PATs, but not vice versa.

摘要

本文使用来自印度国家证券交易所 (NSE) 的数据将算法交易者 (AT) 分类为专有算法交易者 (PAT) 和买方算法交易者 (BAT)，并检查它们与市场质量的动态关系。我们发现两类交易者对市场质量指标产生不同的影响，反之亦然。BAT 的下单通过缩小报价价差来提高流动性，而 PAT 和 BAT 的取消通过扩大报价价差来恶化流动性。PAT 的下单会增加价格影响，但会降低已实现的价差，而取消订单会增加已实现的价差。此外，当报价点差增加时，AT 会增加下单和取消订单。当实现的价差增加时，PAT 取消的订单就会减少。相反，当价格影响增加时，PAT 的参与（下单和取消订单）和 BAT 的取消增加。此外，我们提供了新的证据，表明在 AT 中，BAT 的订单排挤了 PAT 的订单，但反之亦然。